The Skorokhod embedding problem is to represent a given probability as the distribution of
Brownian motion at a chosen stopping time. Over the last 50 years this has become one of …

By investigating model-independent bounds for exotic options in financial mathematics, a
martingale version of the Monge–Kantorovich mass transport problem was introduced in …

Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation
of model-independent bounds for exotic options consistent with market prices of liquid …

We provide an extension of the martingale version of the Fréchet–Hoeffding coupling to the
infinitely-many marginals constraints setting. In the two-marginal context, this extension was …

We consider cost minimizing stopping time solutions to Skorokhod embedding problems,
which deal with transporting a source probability measure to a given target measure through …

We provide a complete characterisation of the Root solution to the Skorokhod embedding
problem (SEP) by means of an optimal stopping formulation. Our methods are purely …

The martingale optimal transport aims to optimally transfer a probability measure to another
along the class of martingales. This problem is mainly motivated by the robust superhedging …

Abstract The Skorokhod Embedding Problem is one of the classical problems in the theory
of stochastic processes, with applications in many different fields [cf. the surveys (Hobson in …

The robust option pricing problem is to find upper and lower bounds on fair prices of
financial claims using only the most minimal assumptions. It contrasts with the classical …

In this article, we consider a generalisation of the Skorokhod embedding problem (SEP) with
a delayed starting time. In the delayed SEP, we look for stopping times which embed a given …